st: Re: Using time invariant variable as instrument in fixed effects?

[Lisa Rickles <lrickles@sas.upenn.edu>]

> Thank you so much for the suggestion.
>
> I looked at xthtaylor, but I am not sure if it would work because I
> have an explanatory variable that is correlated with both the
> individual time-constant unobserved effects and the idiosyncratic
> error.
>
> In particular, I am trying to estimate math achievement, and I include
> a lagged dependent variable (lagged math score) in the regression.  I
> am not sure exactly how xthtaylor works, but it seems that the lagged
> score would be correlated with the idiosyncratic error, as well as the
> unobserved ability.  (I would have used a second or third lag as in
> instrument instead with xtivreg, but I do not have enough prior scores
> in the data).  Therefore I was hoping to use parent education level
> (time constant) as an instrument for the lagged test score.
>
> Is there any way I can use the time-constant parent education as an
> instrument for the time varying test score, while still controlling
> for individual effects?
>
> Thanks,
> Lisa
>
> On Fri, Apr 8, 2011 at 8:06 PM, Fernando Rios Avila <f.rios.a@gmail.com> wrote:
>> By default I don’t think  you can do such a thing.
>> I think, however, that you could check on xthtaylor. Which could to handle
>> that issue for invariant instruments.
>>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Lisa Rickles
>> Sent: Friday, April 08, 2011 8:01 PM
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: Using time invariant variable as instrument in fixed effects?
>>
>> Dear Statalist,
>>
>> Is it possible for me to use a time invariant variable as an instrument in a
>> fixed effects regression?  I am currently using xtivreg, and it is demeaning
>> the instrument I want to use and causing the endogenous variable to drop out
>> of the regression.
>>
>> Thanks,
>> Lisa
>>
>> --
>> Lisa Rickles
>> College of Arts and Sciences
>> University of Pennsylvania, Class of 2011 lrickles@sas.upenn.edu
>>
>> *
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>>
>
>
>
> --
> Lisa Rickles
> College of Arts and Sciences
> University of Pennsylvania, Class of 2011
> lrickles@sas.upenn.edu
> 201-274-9326
>



-- 
Lisa Rickles
College of Arts and Sciences
University of Pennsylvania, Class of 2011
lrickles@sas.upenn.edu
201-274-9326

*
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